Calendar Spread on Futures & a Option Straddle. guaranteed Profit Strategy for daily/week trade?

M

Millionaire_Raj

1. if i hold Calendar Spread on Futures & a Option Straddle
or
2 positions as below (married put & married call with futures /ES)
Long on Futures /ES and Long on /ES put ATM weekly/monthly option
Short on Futures /ES and Long on /ES Call ATM. weekly/monthly option

if market move either way with 30-40 points seems profit is assured . Provided the option still have time value.am i missing something in this?


2. want to know the margin impact on this trade .
If i opened the trade as Calendar Spread on Futures & a Option Straddle no intraday margin requirement but will be finding it difficult to close the profitable trade

if i open this trade as married put & married call with futures /ES, what is the margin required .
At the end of the day ,do i need to meet Intraday Margin requirements for the above trade to carry it forward ?. Since this trade is bi -directional hope the margin requirement will be met by the other position or the brokerage consider both as different trade and unrealised profit will never accounted for unrealised loss . Kindly confirm .
 
In a fair world, it would be no more than having a calendar. However, it is best to check with your broker.
 
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Millionaire_Raj said:
seems profit is assured .
More...

Long future + short future = no future.

Calendar + straddle will get whacked with SV decline, IV decline + time decay.

Is the calendar ATM? or what? Calendar won't necessarily protect the straddle. Both sides could lose.

Perhaps better to try this in low vol situations and at a ratio.

No guaranteed profit.
 
Millionaire_Raj said:
1. if i hold Calendar Spread on Futures & a Option Straddle
or
2 positions as below (married put & married call with futures /ES)
Long on Futures /ES and Long on /ES put ATM weekly/monthly option
Short on Futures /ES and Long on /ES Call ATM. weekly/monthly option

if market move either way with 30-40 points seems profit is assured . Provided the option still have time value.am i missing something in this?


2. want to know the margin impact on this trade .
If i opened the trade as Calendar Spread on Futures & a Option Straddle no intraday margin requirement but will be finding it difficult to close the profitable trade

if i open this trade as married put & married call with futures /ES, what is the margin required .
At the end of the day ,do i need to meet Intraday Margin requirements for the above trade to carry it forward ?. Since this trade is bi -directional hope the margin requirement will be met by the other position or the brokerage consider both as different trade and unrealised profit will never accounted for unrealised loss . Kindly confirm .
More...
Lets clarify few things first
1)Calendar Spread on Futures & a Option Straddle
so Calender spread: are you talking about Futures to Futures calendar spread or a Calender spread made up of Option on futures

2) Long on Futures /ES and Long on /ES put ATM weekly/monthly option
Short on Futures /ES and Long on /ES Call ATM. weekly/monthly option
IS this not just same as LONG CALL + LONG PUT
In that case if one side move fast enough then only you may make profit
other wise with time decay you could loos on both options?
SO where is "Guaranteed profit?"

I think your question and assumptions are confusing
 
traderjo said:
Lets clarify few things first
1)Calendar Spread on Futures & a Option Straddle
so Calender spread: are you talking about Futures to Futures calendar spread or a Calender spread made up of Option on futures

2) Long on Futures /ES and Long on /ES put ATM weekly/monthly option
Short on Futures /ES and Long on /ES Call ATM. weekly/monthly option
IS this not just same as LONG CALL + LONG PUT
In that case if one side move fast enough then only you may make profit
other wise with time decay you could loos on both options?
SO where is "Guaranteed profit?"

I think your question and assumptions are confusing
More...

1. Futures calendar spread
2. Yes. Long future and Long put
When we Long future price moves with every index point and so even a small 20-30 index move is a profit where as call option need index to move faster .
 
Millionaire_Raj said:
1. Futures calendar spread
2. Yes. Long future and Long put
When we Long future price moves with every index point and so even a small 20-30 index move is a profit where as call option need index to move faster .
More...
oK LETS EXAMINE THEN but I am worried you are calling anything "Guaranteed profit" if there ever was such thing do you think it will be discussed in open

so back to your original questions
1. if i hold Calendar Spread on Futures & a Option Straddle
ES June Long + ES Sept Short, since this is a index futures spread unlike a seasonal Futures calendar spread there is little movement in index spread
what that has to do with the straddle
LONG ES Call + LONG ES PUT
Which can profit if things move in one direction .
Again none of this is guaranteed profit!

or
2 positions as below (married put & married call with futures /ES)
Long on Futures /ES and Long on /ES put ATM weekly/monthly option
Short on Futures /ES and Long on /ES Call ATM. weekly/monthly option

ok with this the Long and short Futures cancel each other out and what you are left is just the straddle that I mentioned in the above

So at the end of the day where is the guaranteed profit ?
 
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Take SPX price on April 16 close 2799 . April 17 close 2873.55.
CA 2800 APR 24 Expiry April 16&17 price 56&89.8
PA 2800 Apr 24 Expiry April 16& 17 price 53& 27.40

1. LONG SPX -2800 PA. Net profit = 74.5-33.8= 41*100= 4100 book this profit or sell IT! Call like 2770 and hold to get more profit . No more risk in this

2. Short SPX - 2800 Ca net loss =-74.5 +35= 39*00 =3900 loss
Sell 2830 put 50 and hold futures till expiry Any loss in future handled by ca , Put option sale premium nullify the premium paid for call option and any reversal will give profit or will end up in no profit no loss scenario.

Plain straddle sometimes lose value bcoz of vi, time etc and require movement of stock to be high to get profit. Where as tin the above scenario the profit is assured even for small move .When the stock move net is more , profit will be more in this case.
 
Millionaire_Raj said:
Take SPX price on April 16 close 2799 . April 17 close 2873.55.
CA 2800 APR 24 Expiry April 16&17 price 56&89.8
PA 2800 Apr 24 Expiry April 16& 17 price 53& 27.40

1. LONG SPX -2800 PA. Net profit = 74.5-33.8= 41*50= 2050 book this profit or sell IT! Call like 2770 and hold to get more profit . No more risk in this

2. Short SPX - 2800 Ca net loss =-74.5 +35= 39*50=1950 loss
Sell 2830 put 50 and hold futures till expiry Any loss in future handled by ca , Put option sale premium nullify the premium paid for call option and any reversal will give profit or will end up in no profit no loss scenario.

Plain straddle sometimes lose value bcoz of vi, time etc and require movement of stock to be high to get profit. Where as tin the above scenario the profit is assured even for small move .When the stock move net is more , profit will be more in this case.
More...
 
Millionaire_Raj said:
Take SPX price on April 16 close 2799 . April 17 close 2873.55.
CA 2800 APR 24 Expiry April 16&17 price 56&89.8
PA 2800 Apr 24 Expiry April 16& 17 price 53& 27.40

1. LONG SPX -2800 PA. Net profit = 74.5-33.8= 41*50= 2050book this profit or sell IT! Call like 2770 and hold to get more profit . No more risk in this

2. Short SPX - 2800 Ca net loss =-74.5 +35= 39*50=1950 loss
Sell 2830 put 50 and hold futures till expiry Any loss in future handled by ca , Put option sale premium nullify the premium paid for call option and any reversal will give profit or will end up in no profit no loss scenario.

Plain straddle sometimes lose value bcoz of vi, time etc and require movement of stock to be high to get profit. Where as tin the above scenario the profit is assured even for small move .When the stock move net is more , profit will be more in this case.
More...



Updated the lot size as 50 similar to ES
 
I am always confused by such phrases or statements that indicate a guaranteed result in the market. Because it is impossible - there can be no 100% guarantee. I believe there may be opportunities and chances, it may be interesting and profitable situations, but you may be wrong with the analysis, the indicator or strategy itself may give a false entry point, strong speculation may occur in the market, which will lead to a sharp change in the price, etc..
And such situations can be found very, very many others. So please - never use such expressions, because it really misleads traders, especially beginners, and then they start looking for a gold, perfect strategy, do not find it and are disappointed in trading in general.
 
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